WMT Options History — January 2018

In January 2018, WMT traded between $32.86 and $36.55. ATM implied volatility averaged 20.0%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.8% (HV 20d: 12.1%). Max pain ranged from $31.67 to $33.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2018-01-17: Highest Volume — 374,424 contracts
  • 2018-01-29: Largest IV spike — 19.8% change
  • 2018-01-24: Highest IV Rank — 100.0%
  • 2018-01-29: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.43$32.86$36.55$32.86$35.59
Max Pain$32.46$31.67$33.33$31.67$33.33
ATM IV20.0%15.6%30.2%16.1%27.1%
Expected Move5.0%4.5%6.7%4.6%5.6%
HV 20d12.1%9.7%15.7%9.9%15.7%
HV 60d24.3%23.8%25.6%25.6%24.4%
IV Rank62.4%31.6%100.0%37.1%82.3%
IV Percentile68.3%32.1%100.0%39.7%99.2%
Term Structure1.0%-1.5%6.9%-0.1%-0.6%
VWIV17.8%16.4%24.1%16.5%20.2%
Skew 25d0.0%-1.0%2.1%1.1%0.3%
Skew 10d-0.1%-2.3%2.2%1.9%1.0%
Call IV 25d20.4%15.8%30.0%15.9%27.6%
Put IV 25d20.4%15.5%30.5%17.0%27.9%
Bid-Ask Spread %8.683.0022.393.0015.02
Gamma HHI0.230.170.540.220.18
Net GEX88.9M67.7M175.2M75.4M77.5M
Net DEX-2.06B-2.65B-1.48B-1.48B-2.18B
Net VEX-6.1M-7.2M-5.5M-5.7M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.240.780.780.67
Total Volume183,776.14398,412374,424126,789168,387
Total OI1,896,9601,469,3642,293,7401,867,4311,820,691

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$32.86$31.6716.1%4.6%9.9%37.1%16.5%1.1%-0.1%75.4M-1.48B-5.7M0.783.0071,33455,455930,525936,906
2018-01-03$33.16$31.6716.0%4.6%10.2%35.7%16.6%1.2%0.2%89.2M-1.64B-5.8M0.573.5669,92140,068953,268964,929
2018-01-04$33.19$31.6716.0%4.7%9.9%35.8%16.5%1.0%0.5%91.8M-1.67B-5.7M0.443.2868,43929,973965,643973,128
2018-01-05$33.36$31.6716.6%4.9%9.7%41.2%17.4%0.3%0.4%175.2M-1.85B-5.7M0.445.31113,07950,181982,437979,701
2018-01-08$33.88$31.6716.9%5.0%10.6%44.8%18.0%-0.3%0.5%86.7M-2.11B-5.5M0.375.71190,32670,134985,065970,944
2018-01-09$33.46$31.6716.4%4.8%11.6%39.8%17.7%-0.1%0.3%84.4M-1.82B-5.8M0.436.68137,59559,6131,015,0351,001,799
2018-01-10$33.25$31.6716.0%4.8%11.9%35.7%17.2%-0.6%0.8%89.4M-1.71B-5.7M0.3711.89131,07048,5401,050,5371,014,090
2018-01-11$33.31$31.6716.3%4.8%11.8%38.7%17.1%-0.2%0.6%97.2M-1.77B-6.0M0.309.20135,42040,6981,108,8601,024,080
2018-01-12$33.62$31.6715.6%4.5%11.6%31.6%16.4%-1.0%0.4%117.4M-2.04B-5.9M0.3811.70146,21454,9481,134,8761,035,192
2018-01-16$33.57$31.6716.7%4.8%11.2%42.8%17.2%-0.6%6.3%90.5M-1.92B-5.8M0.513.3796,17148,8821,097,6761,011,408
2018-01-17$34.21$31.6717.0%4.9%12.6%45.2%16.8%-1.0%5.5%92.9M-2.39B-5.5M0.523.44245,901128,5231,107,6721,026,024
2018-01-18$34.76$33.3318.7%5.0%13.2%62.4%18.1%-0.9%5.7%94.7M-2.65B-5.9M0.244.37246,81658,0681,163,2261,072,725
2018-01-19$34.85$33.3319.1%4.7%13.0%66.4%17.0%-0.6%6.9%74.2M-2.64B-6.1M0.613.13136,69583,9911,205,9251,087,815
2018-01-22$35.15$33.3321.6%4.8%13.1%90.3%17.1%-0.4%-1.1%75.3M-1.92B-6.0M0.464.4799,48346,146946,899522,465
2018-01-23$35.31$33.3321.6%4.7%12.5%91.2%17.2%-0.1%0.3%80.2M-2.01B-6.2M0.626.9395,27158,701972,783542,835
2018-01-24$35.26$33.3322.6%4.9%12.6%100.0%17.2%-0.4%-0.7%75.7M-1.99B-6.3M0.6717.1681,63354,582989,946569,565
2018-01-25$35.55$33.3325.2%4.9%12.5%100.0%17.6%2.1%-1.5%79.9M-2.14B-6.3M0.5213.8284,14143,6381,014,180593,943
2018-01-26$36.12$33.3325.2%4.7%13.2%100.0%16.5%0.6%-0.7%72.5M-2.43B-6.4M0.5214.94111,20157,4771,042,185606,666
2018-01-29$36.55$33.3330.2%6.7%13.4%100.0%24.1%0.6%-1.5%67.7M-2.50B-6.6M0.2922.39187,87254,2521,048,242594,300
2018-01-30$35.99$33.3328.5%6.1%14.9%90.2%22.3%-0.3%-0.6%80.1M-2.37B-7.2M0.6112.9698,24160,2191,155,588616,386
2018-01-31$35.59$33.3327.1%5.6%15.7%82.3%20.2%0.3%-0.6%77.5M-2.18B-7.2M0.6715.02100,88767,5001,178,031642,660